Make caramelized apples first: Peel the apples and remove the cores. Chop them into small cubes.
Melt butter in a large skillet set over medium-low heat. Add chopped apples and lemon juice and cook, stirring frequently, for about 10 minutes or until apples are soft and easily broken apart with a spatula.
Stir in brown sugar, cinnamon and vanilla (if using). Cook until the sugar is completely melted and the sauce is smooth. Set apples aside and cool completely before assembly or store in the refrigerator for up to 2 days.
To make the parfaits, add a few tablespoons of caramel apples to each glass. Top with about 2 crushed cookies (you can add more for a thicker cookie layer), then add a few dollops of Greek yogurt. Repeat the layers one more time. To finish the parfaits, add any leftover caramel apples on top, along with a dollop of yogurt and a crushed cookie. Add apple slices if desired.
Store parfaits in the refrigerator for 1-2 hours before serving. This allows the cookies to soften. If you want the cookies to remain crunchy, serve the parfaits right away.
Assembled parfaits keep for about 2 days in the refrigerator.